We're primarily a Microsoft shop, so that is why we wanted to find a way to get the key ready in Windows.
Copy/Paste from the documentation on our installation:
Download and install the windows version of Open SSL from http://www.slproweb.com/download/Win32OpenSSL_Light-0_9_8k.exe
Open command prompt go to C:\OpenSSL\bin and execute the command below after updating the relevant information to meet the needs of your certificate which will create two files, host.domain.com.key and host.domain.com.csr.
openssl req -new -newkey rsa:2048 -nodes -out host_domain_com.csr -keyout host_domain_com.key -subj "/C=US/ST=State Name/L=City Name/O=Company Name/OU=Department Name/CN=host.domain.com"
Send the host.domain.com.csr file from step 2 to your certification authority who will send you the certificate file.
Copy and paste the certificate information sent by your certificate authority and the host.domain.com.key (private key) file information from step 2 into your captive portal ssl configuration page.
Also, this should probably be in the captive portal section, not the WebGUI.